Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Authors

  • Udilmar Carlos Zabot Universidade Federal de Viçosa
  • Sidney Martins Caetano Universidade Federal de Juiz de Fora
  • João F. Caldeira Universidade Federal do Rio Grande do Sul; Departamento de Economia e PPGA

DOI:

https://doi.org/10.1590/S1413-80502013000200003

Abstract

The aim of this paper is to evaluate the effects of Monetary Policy Committee (COPOM) actions on the yield curve of the Brazilian economy, in a scenario where the market is concerned to understand the monetary authority behavior through a Taylor-type rule. The results suggest that the market has been able to anticipate adequately the changes in the Selic rate target and monetary surprises has led the market to revise its DI futures contracts, influencing the market interest rates.

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Published

2013-06-01

Issue

Vol. 17 No. 2 (2013)

Section

Papers

How to Cite

Zabot, U. C., Caetano, S. M., & Caldeira, J. F. (2013). Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado . Economia Aplicada, 17(2), 227-249. https://doi.org/10.1590/S1413-80502013000200003